Published on 4/14/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $3.5 million callable contingent income notes linked to indexes
Chicago, April 14 – Credit Suisse AG, London Branch priced $3.5 million of callable contingent income securities due Oct. 6, 2023 linked to the S&P 500 index, the Russell 2000 index and the MSCI EAFE index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at the rate of 12.75% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on each trading day during that quarter.
The notes are callable at par quarterly.
The payout at maturity will be par unless the least-performing index finishes below its downside 60% threshold level, in which case investors will lose 1% for every 1% that the least-performing index declines from its initial level.
Credit Suisse Securities (USA) LLC is the agent. Morgan Stanley Smith Barney LLC is acting as distributor.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Callable contingent income securities
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| Underlying indexes: | S&P 500, Russell 2000 and MSCI EAFE
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| Amount: | $3,500,000
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| Maturity: | Oct. 6, 2023
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| Coupon: | 12.75% per year, payable quarterly if each index closes at or above coupon barrier level on each trading day during that quarter
|
| Price: | Par
|
| Payout at maturity: | If each index finishes at or above downside threshold level, par; otherwise, 1% loss for every 1% that least-performing index declines from initial level
|
| Call option: | Quarterly at par
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| Initial levels: | 2488.65 for S&P 500, 1052.053 for Russell 2000 and 1487.08 for MSCI EAFE
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| Coupon barrier levels: | 1742.06 for S&P 500, 736.437 for Russell 2000 and 1040.96 for MSCI EAFE, or 70% of initial levels
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| Downside threshold levels: | 1493.19 for S&P 500, 631.232 for Russell 2000 and 892.25 for MSCI EAFE, or 60% of initial levels
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| Pricing date: | April 3
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| Settlement date: | April 8
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| Agent: | Credit Suisse Securities (USA) LLC
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| Distributor: | Morgan Stanley Smith Barney LLC
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| Fees: | 2%
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| Cusip: | 22551NXE1
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